I "often" lost my 4 agents after the 1st turn no matter if I hide or try to shoot.
I had the same problem on several missions during the first 4-6 months until I found that you can use a fire extinguisher to make a smoke screen at the start of you first turn.
Also, until you have better armor and soldiers, before taking a shot on the first turn, make sure all your at-risk soldiers face whichever enemy will reaction fire since front armour is usually much stronger. You can also take a single shot which each soldier before going around and firing a second, then third time with each since enemy reaction fire is based on TU usage and you might kill a few enemies after the first round of shots, which will minimize reaction fire.